As per the normal review of market volatility to ensure adequate collateral coverage, the Chicago Mercantile Exchange Inc., Clearing House Risk Management staff approved the performance bond requirements for the following products listed below. The rates are effective after the close of business on Wednesday, October 15th.

Volatility Scan Rages*

Old Scan Range New Scan Range

Live Cattle (LC) 2.5% 3.0%

Feeder Cattle (FC) 2.0% 3.0%

Lean Hogs (LN) 2.0% 3.0%

Australian Dollars (AD) 2.0% 4.0%

British Pound (BP) 1.0% 2.0%

Canadian Dollar (CD) 1.0% 2.0%

Euro FX (EC) 1.0% 2.0%

Japanese Yen (JY) 2.0% 4.0%

Mexican Peso (MP) 2.5% 5.0%

Swiss Franc (SF) 1.0% 2.0%

Nasdaq-100 Index (ND) 6.0% 8.0%

E-mini Nasdaq-100 (NQ) 6.0% 8.0%

Eurodollars (ED) 7.0% 12%

Soybeans (S) 5.0% 8.0%

Corn (C) 5.0% 8.0%

US Long Bond (17) 1.25% 2.0%

10 Year Treasury Note (21) 1.25% 1.5%

5 Year Treasury Note (25) 1.25% 1.5%

2 Year Treasury Note (26) 0.75% 1.0%

Fed Funds (41) 15% 20%

* The volatility scan range is the change in implied volatility that is used in Span’s scenario calculations of performance bond requirements. Span uses price and implied volatility changes as well as other factors to determine the appropriate performance bond amounts. This does not affect the outright futures margin requirement, but will generally impact portfolios that include options.

Send Us Feedback

Email and Message

Email (optional)

Enter your Message

Website Rating

How was your website experience?

Poor

Average

Good

Very Good

Excellent

Who We Are

CME Group is the world's leading and most diverse derivatives marketplace. The company is comprised of four Designated Contract Markets (DCMs). Further information on each exchange's rules and product listings can be found by clicking on the links to CME, CBOT, NYMEX and COMEX.